/// <summary>
/// 计算持仓损益。
/// </summary>
/// <param name="posItem"></param>
/// <returns></returns>
private decimal CalcHoldingProfit(PositionDetailCalcItem posItem)
{
int volumeMultiple = posItem.InstrumentDetail.VolumeMultiple;
USeMarketData marketData = posItem.MarketData;
decimal holdProfit = 0m; // 持仓盈亏
if (posItem.RemainQty > 0) // 有持仓
{
if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Long)
{
// 当日多头持仓盈亏 = (最新价 - 开仓价) × 多头合约持仓量 × 合约乘数
// 当日多头持仓保证金 = 开仓价 × 合约乘数 × 持仓手数 × 多头保证金率
if (marketData.LastPrice > 0)
{
holdProfit += (marketData.LastPrice - posItem.OpenPrice) * posItem.RemainQty * volumeMultiple;
}
}
else if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Short)
{
// 当日空头持仓盈亏 = (开仓价 - 最新价) × 空头合约持仓量 × 合约乘数
// 当日持仓保证金 = 开仓价 × 合约乘数 × 持仓手数 × 空头保证金率
if (marketData.LastPrice > 0)
{
holdProfit += (posItem.OpenPrice - marketData.LastPrice) * posItem.RemainQty * volumeMultiple;
}
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
// 历史多头持仓盈亏 = (最新价 - 上日结算价) × 多头合约持仓量× 合约乘数
// 历史多头持仓保证金 = 上日结算价 × 合约乘数 × 持仓手数 × 交易所多头保证金率
if (marketData.LastPrice > 0)
{
holdProfit += (marketData.LastPrice - marketData.PreSettlementPrice) * posItem.RemainQty * volumeMultiple;
}
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
// 历史空头持仓盈亏 = (上日结算价-最新价)× 空头合约持仓量 × 合约乘数
// 历史空头持仓保证金 = 上日结算价 × 合约乘数 × 持仓手数 × 交易所空头保证金率
if (marketData.LastPrice > 0)
{
holdProfit += (marketData.PreSettlementPrice - marketData.LastPrice) * posItem.RemainQty * volumeMultiple;
}
}
else
{
Debug.Assert(false);
}
}
return(holdProfit);
}
/// <summary>
/// 计算持仓保证金。
/// </summary>
/// <param name="posItem"></param>
/// <returns></returns>
private decimal CalcHoldingPositonMargin(PositionDetailCalcItem posItem)
{
int volumeMultiple = posItem.InstrumentDetail.VolumeMultiple;
USeMarketData marketData = posItem.MarketData;
decimal margin = 0m;
if (posItem.RemainQty > 0) // 有持仓
{
if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Long)
{
margin = posItem.OpenPrice * volumeMultiple * posItem.RemainQty * posItem.Margin.BrokerLongMarginRatioByMoney +
posItem.RemainQty * posItem.Margin.BrokerLongMarginRatioByVolume;
//holdTodayMargin += margin;
}
else if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Short)
{
margin = (posItem.OpenPrice * volumeMultiple * posItem.RemainQty * posItem.Margin.BrokerShortMarginRatioByMoney) +
(posItem.RemainQty * posItem.Margin.BrokerShortMarginRatioByVolume);
//holdTodayMargin += margin;
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * posItem.Margin.BrokerLongMarginRatioByMoney) +
(posItem.RemainQty * posItem.Margin.BrokerLongMarginRatioByVolume);
//holdHistoryMargin += margin;
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
margin = (marketData.PreSettlementPrice * volumeMultiple * posItem.RemainQty * posItem.Margin.BrokerShortMarginRatioByMoney) +
(posItem.RemainQty * posItem.Margin.BrokerLongMarginRatioByVolume);
//holdHistoryMargin += margin;
}
else
{
Debug.Assert(false);
}
}
return(margin);
}
/// <summary>
/// 查询持仓明细。
/// </summary>
/// <returns></returns>
private List <PositionDetailCalcItem> QueryPositonDetails()
{
USeOrderDriver orderDriver = USeManager.Instance.OrderDriver;
USeQuoteDriver quoteDriver = USeManager.Instance.QuoteDriver;
List <USePositionDetail> positonList = orderDriver.QueryPositionDetail();
List <PositionDetailCalcItem> list = new List <PositionDetailCalcItem>();
if (positonList == null)
{
return(list);
}
foreach (USePositionDetail posItem in positonList)
{
USeInstrumentDetail detail = orderDriver.QueryInstrumentDetail(posItem.Instrument);
USeMargin productMargin = orderDriver.QueryInstrumentMargin(posItem.Instrument);
USeMarketData marketData = quoteDriver.Query(posItem.Instrument);
PositionDetailCalcItem calcItem = new PositionDetailCalcItem()
{
InstrumentDetail = detail,
Margin = productMargin,
MarketData = marketData,
ID = posItem.ID,
Instrument = posItem.Instrument.Clone(),
Direction = posItem.Direction,
PositionType = posItem.PositionType,
OpenQty = posItem.OpenQty,
OpenPrice = posItem.OpenPrice,
OpenTime = posItem.OpenTime,
CloseQty = posItem.CloseQty,
CloseAmount = posItem.CloseAmount,
ClosePrice = posItem.ClosePrice
};
list.Add(calcItem);
}
return(list);
}
/// <summary>
/// 计算平仓损益。
/// </summary>
/// <param name="posItem"></param>
/// <returns></returns>
private decimal CalcCloseProfit(PositionDetailCalcItem posItem)
{
int volumeMultiple = posItem.InstrumentDetail.VolumeMultiple;
USeMarketData marketData = posItem.MarketData;
decimal closeProfit = 0m; // 平仓盈亏
if (posItem.CloseQty > 0) // 有平仓
{
if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Long)
{
// 平当日多头仓盈亏 = (平仓价 - 开仓价）× 多头合约持仓量 × 合约乘数
closeProfit += ((posItem.ClosePrice - posItem.OpenPrice) * posItem.CloseQty * volumeMultiple);
}
else if (posItem.PositionType == USePositionType.Today && posItem.Direction == USeDirection.Short)
{
// 平当日空头仓盈亏 = (开仓价 - 平仓价）× 空头合约平仓量 × 合约乘数
closeProfit += ((posItem.OpenPrice - posItem.ClosePrice) * posItem.CloseQty * volumeMultiple);
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Long)
{
// 平历史仓多头盈亏 = (平仓价 - 上日结算价) × 多头合约平仓量 × 合约乘数
closeProfit += ((posItem.ClosePrice - posItem.OpenPrice) * posItem.CloseQty * volumeMultiple);
}
else if (posItem.PositionType == USePositionType.Yestorday && posItem.Direction == USeDirection.Short)
{
// 平历史仓空头盈亏 = (上日结算价 - 平仓价) × 空头合约平仓量 × 合约乘数
closeProfit += ((posItem.OpenPrice - posItem.ClosePrice) * posItem.CloseQty * volumeMultiple);
}
else
{
Debug.Assert(false);
}
}
return(closeProfit);
}
